Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0516
Annualized Std Dev 0.2061
Annualized Sharpe (Rf=0%) 0.2506

Row

Daily Return Statistics

Close
Observations 3860.0000
NAs 1.0000
Minimum -0.1080
Quartile 1 -0.0046
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0054
Maximum 0.1126
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0130
Skewness -0.0708
Kurtosis 13.0721

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0099
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5857
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0179
Modified ES (95%) -0.0179
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-09 2013-03-28 -0.5857 1466 445 1021
2020-02-18 2020-03-23 2021-01-07 -0.3724 226 25 201
2014-12-19 2016-01-20 2016-04-18 -0.1566 333 272 61
2018-09-21 2018-12-24 2019-04-01 -0.1526 131 65 66
2018-01-29 2018-03-23 2018-08-20 -0.0981 142 39 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA 1.1 -0.5 0.6
2006 0.3 0.6 0 -0.8 1.1 -0.1 -0.1 0.3 -0.6 -0.2 0.1 -0.6 0
2007 0.6 -0.1 -0.1 0.2 0.6 -0.6 1.4 0.5 1.7 -2.6 0.9 -0.6 1.8
2008 1.7 -2.7 4 3.3 -0.5 0.8 0.1 -0.5 1.9 3.1 -10.4 2 1.8
2009 -3.9 -1.9 2 0.3 2.5 1.2 -0.1 -1.9 -2.1 -2.2 1.2 -1.4 -6.5
2010 0.9 1.1 0.7 -1.3 -1.8 -0.4 -0.2 2.7 0.4 -0.1 1.6 -0.3 3.2
2011 1 -1.4 0.5 -0.1 -1.9 1.4 -0.6 -1 -2 -2.7 -0.6 -0.7 -7.8
2012 1.1 0.2 0.1 0.4 -2 1.7 -0.5 0.3 -0.1 1.2 0.3 1.5 4.2
2013 0.8 0.3 -0.5 -0.8 -1.4 0.8 1.2 -0.5 0.8 0.3 -0.2 0.1 0.8
2014 -0.4 0.5 0.3 -0.1 0.3 0.3 -0.1 0.3 -1 1.1 -0.6 -1.1 -0.6
2015 -1.5 -0.2 -0.4 0.8 0.1 1.1 0.1 -2.6 -0.2 -0.2 0.7 -1.1 -3.4
2016 0.4 1.8 0.6 -0.3 0.2 0.1 -0.3 -0.1 0.7 -0.9 0 -0.2 1.9
2017 -0.7 1.1 -0.1 -0.1 1 0.1 0.4 0.4 0 0 -0.3 -0.3 1.5
2018 -0.6 -0.7 0.9 0 0.3 0 -0.7 0.1 -0.1 1.3 0.9 0.8 2.4
2019 0.1 0.1 0.8 -1 -0.9 0.4 -1.5 0.3 -1.5 0.8 -0.6 0.2 -2.8
2020 -1.9 -2.1 -4.6 -3.3 0.9 -0.7 -0.4 0.2 0 0 0.8 0.5 -10.2
2021 0.9 1.8 -1.1 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-11-15  53.9 SPY    123. -0.0036    0.0083   0.0347   0.0085   0.0455    0.358  -0.123  GLD    46.7  0.0009   0.0163
2 2005-11-16  53.7 SPY    123.  0.002     0.009    0.0481   0.0106   0.0414    0.351  -0.118  GLD    47.8  0.024    0.0262
3 2005-11-17  54.1 SPY    125.  0.00930   0.0105   0.0406   0.0177   0.0497    0.378  -0.0877 GLD    48.5  0.0147   0.043 
4 2005-11-18  54.4 SPY    125.  0.0039    0.0111   0.0634   0.0217   0.0657    0.385  -0.077  GLD    48.5 -0.0004   0.0355
5 2005-11-21  54.7 SPY    126.  0.005     0.0167   0.0646   0.0288   0.0659    0.362  -0.0961 GLD    49.0  0.0109   0.0508
6 2005-11-22  54.7 SPY    126.  0.0043    0.0248   0.0529   0.0425   0.0689    0.342  -0.095  GLD    49.3  0.0067   0.057 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart